Engine room update: Level: Insider post.
Written by Volatility Bongo MomentumX Capital | February 06, 2026
We're announcing the release of DUO VIX V3, an updated version of our volatility trading strategy. This builds on the previous "Mastering Fear" model by improving signal accuracy, regime detection, and risk controls to better handle different market conditions. Previous Update.
The backtests cover 2,136 trading days from January 1, 2020, to December 31st, 2025, using historical UVXY data from CBOE. Commissions, slippage, and borrowing costs for UVXY are simulated. We've listed both total returns and annualized CAGR for context.
| Metric | Previous Version (Jan) | V3 | Delta |
|---|---|---|---|
| Total Compound Return | 205.9% | 920.0% | +714.1% |
| (CAGR) | 20.5% | 47.2% | +26.7% (better capture of decay and spikes) |
| Sharpe Ratio | 3.0 | 7.9 | +4.9 (better risk-adjusted efficiency) |
| Maximum Drawdown | 22.8% | 25.14% | +2.34% (drawdown increase for return) |
| Win Rate | 68% | 74% | +6% |
| Sortino Ratio | 4.5 | 10.3 | +5.8 (superior downside protection) |
| Average Trades/Day | 0.3 | 0.2 | -33% (lower turnover for fee efficiency) |
| Portfolio Turnover | 22% | 15% | -7% |
These changes come from updating the Duo-VIX indicator to a more adaptive setup. It uses optimized Dynamic KAMA and evolved cycles and VOLRANK (proprietary indicator) code to spot market phases, like high-volatility spikes versus low-volatility periods, helping avoid poor fits to past data. Examples from the backtest:
- Spike Capture (e.g., 2020 COVID Crash): Maintained full exposure during VIX surges, contributing ~35% to total returns.
- Chaos Navigation (e.g., 2021 Meme Stock Era): Sidestepped irrational noise through tightened filters, reducing false signals by 40%.
- Geopolitical Hedging (e.g., 2022 Russia-Ukraine Impact): Generated positive alpha amid uncertainty.
- Decay Harvesting (e.g., 2023–2026 AI Boom): Optimized short-vol positions for consistent gains in low-vol environments.
Audits from QuantConnect and Backtrader confirm the numbers going back to 2015, and testing since Dec 2025 shows similar results in live conditions. We've also run tests for extreme events, achieving a Calmar Ratio over 4.0.
Technical Upgrades: The Core Engine
- Adaptive Signalling: Evolved from Dynamic KAMA and Physics Engine to a fusion with VX1 futures acceleration and volume signals, making the algo ultra-responsive, providing lower-noise entries and exits.
- Risk Management: Uses real-time volatility patterns to guide when to take profits, limiting exposure in shifting markets to avoid losses in sideways/choppy periods, and reducing cumulative drawdowns.
This setup aims to balance returns and practicality, making it suitable for quantitative traders in volatile, AI-influenced markets.
Roadmap Ahead: We focus on clear reporting and steady updates. Here's the plan:
- Phase 1: Immediate Release (February 2026)
- Beta launch of the DUO VIX algorithm for THE INSIDER tier, with a TradingView dashboard and setup for executing trades.
- Phase 2: Q1–Q2 2026 (Rolling Out)
- Real-time long/short signals for MXC Duo-VIX via API, email, or app.
- Audited live results from a dedicated account, verified by a third-party custodian.
- Added options strategies expected to improve returns in a given trade by 15-20% and reduce drawdowns.
- UVXY-specific signals with backtests and replay features.
- Integrations: Connection to QuantConnect, and Interactive Brokers for automated trading, and forward testing.
THE INSIDER subscribers get early access to V3 signals. We will be publishing a new post and a dedicated page for THE INSIDER users.
Disclaimer: These are backtested results and hypothetical. Past performance doesn't predict future results. Trading carries risk of loss. MomentumX Capital isn't a registered advisor; consult a professional before using this info. Data from CBOE, audited by QuantConnect.